| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10449 |
| DP10449 Regression Based Estimation of Dynamic Asset Pricing Models | |
| Emanuel Moench; Tobias Adrian; Richard K. Crump | |
| 发表日期 | 2015-03-01 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The estimators explicitly allow for time varying prices of risk, time varying betas and serially dependent pricing factors. Our approach nests the Fama-MacBeth two-pass estimator as a special case. We provide asymptotic multistage standard errors necessary to conduct inference for asset pricing tests. We illustrate our new estimators in an application to the joint pricing of stocks and bonds. The application features strongly time varying, highly significant prices of risk which are found to be quantitatively more important than time varying betas in reducing pricing errors. |
| 主题 | Financial Economics |
| 关键词 | Dynamic asset pricing Fama-macbeth regressions Gmm Minimum distance estimation Reduced rank regression Time-varying betas |
| URL | https://cepr.org/publications/dp10449 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539281 |
| 推荐引用方式 GB/T 7714 | Emanuel Moench,Tobias Adrian,Richard K. Crump. DP10449 Regression Based Estimation of Dynamic Asset Pricing Models. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
